第五章 CAPM的应用.pdf

第五章CAPM的应用  利用Markowitz 模型进行积极证券组合管 理  市场模型在消极证券组合管理中的应用  利用Beta去得到好的协方差估计  利用Beta去得到好的期望回报率估计  CAPM在消极证券组合管理中的应用  Black-Litterman 方法  例子：Global Portfolio Optimization 1. 利用Markowitz 模型进行积极证券 组合管理  经典Markowitz 模型的缺点  待估计的期望值、协方差参数数量大  利用历史数据得到的最优证券组合权重不合理  When investors impose no constraints, the models almost always ordain large short positions in many assets.  When constraints rule out short positions, the models often prescribe corner solutions with zero weights in many assets, as well as unreasonably large weights in the assets of markets with small capitalizations.  These unreasonable results stem from two well recognized problems:  由历史数据得到的期望值估计对将来回报率预测能力很差  最优证券组合权重对于期望回报率假设非常敏感  例：100种证券形成的证券组合 例： let us look at the sort of portfolio allocation we get if we use historical returns and volatilities as inputs: Historical correlations: If you use our procedures and calculate and optimal portfolio, with  10.7% , you will get portfolio P weights of:  We can make a number of points about these optimal portfolios.  They illustrate what we mean when we claim that standard mean-variance optimization models often generate unreasonable portfolios.  The use of past excess returns to represent a neutral set of views is equivalent to assuming that the constant portfolio weights that would have performed best historically are in some sense neutral. In reality, of course, they are not neutral at all, but rather are a very special set of weights that go short assets that have done poorly and go long assets that have done well in the particular historical period.  A remedy for both of these problems is to use  (1) ma